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stat.ML2022
Should Bank Stress Tests Be Fair?
Paul Glasserman, Mike Li
Regulatory stress tests have become one of the main tools for setting capital requirements at the largest U.S. banks. The Federal Reserve uses confidential models to evaluate bank-…
stat.ML2021
Linear Classifiers Under Infinite Imbalance
Paul Glasserman, Mike Li
We study the behavior of linear discriminant functions for binary classification in the infinite-imbalance limit, where the sample size of one class grows without bound while the s…